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dannegrila
Calcite | Level 5

Hi,

 

How can I solve in IML a minimization problem as following?

 

Having a known matrix e.g. M= {0.8 0.2, 0.4 0.6} and a known generator matrix G, I want to solve a and b (a diagonal matrix A) such that the distance between M[,2] and exp(A*G) [,2] is minimized – basically the minimization is addressed to the last column in matrices only ...

 

Many thanks,

Dan

1 ACCEPTED SOLUTION

Accepted Solutions
Rick_SAS
SAS Super FREQ

Your objective function is

SSQ( (exp(A*G)  - M)[,2] )

 

Write the function to be minimized as a function of the diagonal parameters a and b. You can use any NLP routine to minimize the function.

 

There are many examples on my blog (search for 'NLPNRA') . Start with the article that maximizes the likelihood function, which includes links to the NLP documentation. Set opt[1]=0 to specify minimization.

 

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2 REPLIES 2
Rick_SAS
SAS Super FREQ

Your objective function is

SSQ( (exp(A*G)  - M)[,2] )

 

Write the function to be minimized as a function of the diagonal parameters a and b. You can use any NLP routine to minimize the function.

 

There are many examples on my blog (search for 'NLPNRA') . Start with the article that maximizes the likelihood function, which includes links to the NLP documentation. Set opt[1]=0 to specify minimization.

 

dannegrila
Calcite | Level 5

Many thanks Rick.

 

P.S. exp(.) stands for matrix exponential (expmatrix)

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